Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates

DOI10.1080/07474938.2014.956624zbMath1491.62164OpenAlexW1977931823MaRDI QIDQ5863575

Marco R. Barassi, Dayong Zhang, Jijun Tan

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.956624

zbMATH Keywords

term structurefractional cointegrationlocal Whittle estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

• Modelling structural breaks, long memory and stock market volatility: an overview
• Local Whittle estimation of fractional integration and some of its variants
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• Gaussian semiparametric estimation of long range dependence
• Testing for unit roots in bounded time series
• Exact local Whittle estimation of fractional integration
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Semiparametric fractional cointegration analysis

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